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Paris December 2008 Finance Meeting EUROFIDAI - AFFI (Archive)

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For more information on this conference,
please visit: http://www.affi.asso.fr/december2008us.html

Deadline Call for Papers: June 2, 2008

http://www.affi.asso.fr/files/doc_177.pdf
14,502 Total downloads | Link to this page
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Viewing: 1 - 38 of 38 papers

1.

Common Risk Factors in Currency Markets

Review of Financial Studies ( 2011), 24(11), .
Number of pages: 74 Posted: 01 Jun 2008 Last Revised: 27 Aug 2012
Accepted Paper Series
Hanno N. Lustig, Nikolai L. Roussanov and Adrien Verdelhan
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 6,726
2.

Top-Down Versus Bottom-Up Approaches in Risk Management

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 48 Posted: 13 Oct 2008
Working Paper Series
Peter Grundke
University Osnabrück, Chair of Banking and Finance
Downloads 1,163
3.

Derivatives Clearing, Default Risk, and Insurance

Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 39 Posted: 28 Feb 2008 Last Revised: 14 Mar 2013
Working Paper Series
Robert A. Jones and Christophe Perignon
Simon Fraser University (SFU) - Department of Economics and HEC Paris - Finance Department
Downloads 665
4.

Portfolio Policies with Stock Options

Number of pages: 40 Posted: 04 Mar 2008 Last Revised: 15 Feb 2009
Working Paper Series
Yuliya Plyakha and Grigory Vilkov
Universite du Luxembourg - School of Finance and Frankfurt School of Finance & Management
Downloads 654
5.

Shareholder Agreements and Firm Value: Evidence from French Listed Firms

Number of pages: 47 Posted: 14 Oct 2008 Last Revised: 13 Mar 2011
Working Paper Series
Francois Belot
Université de Cergy-Pontoise
Downloads 483
6.

Multiple Large Shareholders, Control Contests, and Implied Cost of Equity

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 46 Posted: 13 Oct 2008
Working Paper Series
Najah Attig, Omrane Guedhami and Dev R. Mishra
Saint Mary's University - Department of Finance & Management Science, University of South Carolina - Moore School of Business and University of Saskatchewan - Edwards School of Business
Downloads 420
7.

The Conditional Relation between Fama-French Betas and Return

Schmalenbach Business Review, Forthcoming
Number of pages: 30 Posted: 14 Oct 2008 Last Revised: 30 Sep 2013
Accepted Paper Series
Stefan Koch and Christian Westheide
University of Bonn and University of Mannheim - Finance Area
Downloads 407
8.

Why Do Firms Pay Cash in Acquisitions? Evidence from a Demand Perspective

AFA 2010 Atlanta Meetings Paper
Number of pages: 52 Posted: 25 May 2008 Last Revised: 21 Jan 2010
Working Paper Series
Lei Zhang
University of Queensland - Business School
Downloads 378
9.

Jumps, Cojumps and Macro Announcements

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 34 Posted: 13 Oct 2008 Last Revised: 26 Aug 2009
Working Paper Series
Jerome Lahaye, Sébastien Laurent and Christopher J. Neely
Facultés Universitaires Notre-Dame de la Paix (FUNDP), French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM) and Federal Reserve Bank of St. Louis - Research Division
Downloads 360
10.

Price Discovery and Liquidity in the European CO2 Futures Market: An Intraday Analysis

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 31 Posted: 14 Oct 2008
Working Paper Series
Eva A. Benz and Jördis Hengelbrock
University of Bonn - Bonn Graduate School of Economics and University of Bonn - The Bonn Graduate School of Economics
Downloads 235
11.

A Market for Weather Risk? Worlds in Conflicts and Compromising

Number of pages: 34 Posted: 14 Oct 2008 Last Revised: 16 Jun 2015
Working Paper Series
Isabelle Huault and Hélène Rainelli
Université Paris Dauphine and Université Paris I Panthéon-Sorbonne - Institut d'Administration des Entreprises de Paris (IAE Paris)
Downloads 217
12.

CMCDS Premia Implicit in the Term Structure of Corporate CDS Spreads

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 48 Posted: 14 Oct 2008 Last Revised: 15 Jul 2009
Working Paper Series
Arturo Leccadito, Radu Tunaru and Giovanni Urga
Università degli Studi della Calabria, University of Kent, Canterbury - Kent Business School and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 205
13.

Regulating the Financial Analysis Industry: Is the European Directive Effective?

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 58 Posted: 13 Oct 2008 Last Revised: 14 May 2011
Working Paper Series
Michel Dubois and Pascal Dumontier
University of Neuchatel - Institute of Financial Analysis and University of Grenoble

Multiple version iconThere are 2 versions of this paper

Downloads 200
14.

Trade Credit as a Signal of Quality

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 41 Posted: 14 Oct 2008
Working Paper Series
Eric de Bodt, Frederic Lobez and Jean-Christophe Statnik
Univ. Lille, University of Lille II - GERME Research Center and University of Lille II - University of Lille LSMRC & ISA
Downloads 198
15.

Rational and Behavioral Motives to Trade: Evidence from Reinvestment of Dividends and Tender Offer Proceeds

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 38 Posted: 14 Oct 2008 Last Revised: 25 Sep 2009
Working Paper Series
Markku Kaustia and Elias Henrikki Rantapuska
Aalto University School of Business and Aalto University
Downloads 185
16.

Prop Ups During Lockups

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 68 Posted: 14 Oct 2008 Last Revised: 16 Mar 2011
Working Paper Series
Jens Martin
University of Amsterdam - Finance Group
Downloads 184
17.

ADR Spreads and Their Informational Content: The Role of Relative US Investor Sentiment

Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 42 Posted: 13 Oct 2008 Last Revised: 27 Nov 2008
Working Paper Series
Georgios Gatopoulos
The American College of Greece & IOBE - Foundation for Economic and Industrial Research
Downloads 173
18.

Stock Market Comovements and Industrial Structure

INSEAD Working Paper No. 2008/53
Number of pages: 41 Posted: 26 Aug 2008 Last Revised: 29 Dec 2008
Working Paper Series
Pushan Dutt and Ilian Mihov
INSEAD - Economics and Political Sciences and INSEAD
Downloads 153
19.

On the Use of Financial and Extra-Financial Information

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 41 Posted: 13 Oct 2008 Last Revised: 30 Oct 2008
Working Paper Series
Marie-Hélène Bihr
French National Center for Scientific Research (CNRS) - Centre de Recherches Appliquées à la Gestion (CERAG)
Downloads 152
20.

Hierarchical Hidden Markov Structure for Dynamic Correlations: The Hierarchical RSDC Model

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 34 Posted: 14 Oct 2008 Last Revised: 16 Oct 2008
Working Paper Series
Charlot Philippe and Vêlayoudom Marimoutou
Universities of Marseille and Université de la Mediterraneé
Downloads 133
21.

The Political Determinants of the Cost of Equity: Evidence from Newly Privatized Firms

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 42 Posted: 14 Oct 2008 Last Revised: 26 Nov 2010
Working Paper Series
Hamdi Ben Nasr, Narjess Boubakri and Jean-Claude Cosset
HEC Montreal, American University of Sharjah - School of Business and Management and HEC Montreal

Multiple version iconThere are 3 versions of this paper

Downloads 124
22.

Long-Horizon Consumption Risk and the Cross-Section of Returns: New Tests and International Evidence

Paris December 2008 Finance International Meeting Paper
Number of pages: 36 Posted: 23 Oct 2008 Last Revised: 26 Oct 2009
Working Paper Series
Joachim Grammig, Andreas Schrimpf and Michael Schuppli
Eberhard Karls Universitaet Tübingen, Bank for International Settlements (BIS) - Monetary and Economic Department and University of Muenster
Downloads 123
23.

Conditional Skewness of Aggregate Market Returns

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 32 Posted: 13 Oct 2008
Working Paper Series
Anchada Aida Charoenrook and Hazem Daouk
Thammasat University and Cornell University - School of Applied Economics and Management

Multiple version iconThere are 2 versions of this paper

Downloads 122
24.

Time-Varying Incentives in the Mutual Fund Industry

Paris December 2008 Finance International Meeting AFFI - EUROFIDAI Paper
Number of pages: 42 Posted: 14 Oct 2008 Last Revised: 14 Mar 2013
Working Paper Series
Jacques Olivier and Anthony S. Tay
HEC Paris - Finance Department and Singapore Management University - School of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 109
25.

On the Modeling of Debt Maturity and Endogenous Default: A Caveat

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 17 Posted: 14 Oct 2008
Working Paper Series
Jean-Paul Decamps and Stephane Villeneuve
University of Toulouse 1 - Toulouse School of Economics (TSE) and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 106
26.

Are French Individual Investors Reluctant to Realize Their Losses?

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 27 Posted: 14 Oct 2008
Working Paper Series
Marie-Hélène Broihanne, Maxime Merli and Shaneera Boolel-Gunesh
Strasbourg University, LaRGE Research Center, EM Strasbourg Business School, Strasbourg University, LaRGE Research Center, EM Strasbourg Business School and EM Strasbourg Business School
Downloads 96
27.

Stock Price and Systematic Risk Effects of Discontinuation of Corporate R&D Programs

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 35 Posted: 14 Oct 2008
Working Paper Series
Mohsen Saad and Zaher Zantout
American University of Sharjah and affiliation not provided to SSRN
Downloads 88
28.

Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts

The Geneva Risk and Insurance Review, Vol. 36, No. 1, 2010
Number of pages: 40 Posted: 14 Oct 2008 Last Revised: 13 Nov 2013
Accepted Paper Series
Francois Quittard-Pinon and Rivo A Randrianarivony
EMLYON Business School and University of Rennes 1
Downloads 86
29.

The Credit Risk Premium in a Disaster-Prone World

Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 21 Posted: 13 Oct 2008
Working Paper Series
Laurence Copeland and Yanhui Zhu
Cardiff University - Cardiff Business School and Cardiff University - Cardiff Business School - Economics Section

Multiple version iconThere are 2 versions of this paper

Downloads 77
30.

A Smoke Screen Theory of Financial Intermediation

Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 31 Posted: 13 Oct 2008
Working Paper Series
Regis Breton
Banque de France
Downloads 74
31.

On the Information Content of the Order Flow: An Experiment

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 35 Posted: 13 Oct 2008
Working Paper Series
Christophe Bisiere, Jean-Paul Decamps and Stefano Lovo
Universite de Toulouse - (IDEI - CRG), University of Toulouse 1 - Toulouse School of Economics (TSE) and HEC Paris - Finance Department
Downloads 66
32.

Consumption and Portfolio Choice with Option-Implied State Prices

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 1 Posted: 13 Oct 2008
Working Paper Series
Yacine Ait-Sahalia and Michael W. Brandt
Princeton University - Department of Economics and Duke University - Fuqua School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 49
33.

Contributions to the Estimation of Mixed-State Conditionally Heteroscedastic Latent Factor Models: A Comparative Study

Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 27 Posted: 13 Oct 2008
Working Paper Series
Mohamed Saidane and Christian Lavergne
Université Montpellier II and University of Montpellier III Paul Valéry
Downloads 39
34.

Welfare Implications of Exchange Rate Changes

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 42 Posted: 13 Oct 2008
Working Paper Series
Luis Brandao Marques
International Monetary Fund - Monetary and Capital Markets Department
Downloads 29
35.

Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 50 Posted: 14 Oct 2008
Working Paper Series
Eric Jondeau
University of Lausanne - Faculty of Business and Economics (HEC Lausanne)

Multiple version iconThere are 2 versions of this paper

Downloads 23
36.

A Jump-Diffusion Nominal Short Rate Model

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Posted: 13 Oct 2008 Last Revised: 03 Apr 2012
Working Paper Series
Sami Attaoui and Pierre Six
NEOMA Business School and Neoma Business School
37.

Dispersed Macroeconomic Information: Announcements, Revisions & Stock Returns

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Posted: 13 Oct 2008
Working Paper Series
Thomas Gilbert
University of Washington - Department of Finance and Business Economics

Multiple version iconThere are 2 versions of this paper

38.

Rating Migrations: The Effect of History and Time

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Posted: 14 Oct 2008
Working Paper Series
Huong D. Dang and Graham Partington
University of Canterbury - Economics and Finance and University of Sydney - School of Business - Finance Discipline

Multiple version iconThere are 2 versions of this paper